Note that this option is only available for 30 minutes after a fresh install of VirtualBox. Near the bottom of the General tab, you should see some text that says software from Oracle America, Inc. Alternatively, you can click Applications > System Preferences > Security and Privacy. To grant permission, click the magnifying glass at the top right, type “Security,” and then press Enter. If you haven’t given your Mac permission to install programs from Oracle previously, it’s highly likely the installation will fail at this stage.
When everything is the way you want it, click “Install.” If asked, type the password for your Mac.